Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0889 |
| Annualized Std Dev | 0.5119 |
| Annualized Sharpe (Rf=0%) | 0.1736 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3562.0000 |
| NAs | 1.0000 |
| Minimum | -0.2658 |
| Quartile 1 | -0.0131 |
| Median | 0.0020 |
| Arithmetic Mean | 0.0009 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0162 |
| Maximum | 0.2120 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0019 |
| Variance | 0.0010 |
| Stdev | 0.0322 |
| Skewness | -0.4248 |
| Kurtosis | 7.5700 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0235 |
| Gain Deviation | 0.0222 |
| Loss Deviation | 0.0254 |
| Downside Deviation (MAR=210%) | 0.0273 |
| Downside Deviation (Rf=0%) | 0.0231 |
| Downside Deviation (0%) | 0.0231 |
| Maximum Drawdown | 0.8854 |
| Historical VaR (95%) | -0.0498 |
| Historical ES (95%) | -0.0776 |
| Modified VaR (95%) | -0.0510 |
| Modified ES (95%) | -0.0992 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-11-27 | -0.8854 | 1635 | 444 | 1191 |
| 2018-09-04 | 2020-03-23 | 2020-12-17 | -0.7174 | 578 | 390 | 188 |
| 2015-06-24 | 2016-02-11 | 2016-11-18 | -0.4672 | 357 | 161 | 196 |
| 2014-03-05 | 2014-10-13 | 2014-12-26 | -0.2456 | 207 | 155 | 52 |
| 2018-01-24 | 2018-02-08 | 2018-05-17 | -0.1772 | 80 | 12 | 68 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 2.3 | -0.7 | 0.2 | 0.8 | 1.2 | -1.7 | 1 | 2.3 | 4.8 | -7.2 | 0.1 | -1.4 | 1 |
| 2008 | 5.4 | -4.9 | 7.4 | 4 | 1 | 0 | 0.7 | -1.5 | -1 | 8.9 | -23.9 | 5.2 | -3.3 |
| 2009 | -4.1 | -0.9 | 4.3 | 1.1 | 7.6 | 2.6 | -1.1 | -5 | -6.2 | -5.4 | 3.2 | -2.5 | -7.2 |
| 2010 | 2.2 | 4.5 | 1.8 | -5.8 | -6 | -1.6 | 0.3 | 7.8 | 1.1 | -1.3 | 4.5 | -1.6 | 5.2 |
| 2011 | 4.6 | -3.9 | 0.8 | 0.4 | -6.2 | 2.8 | -0.8 | -4.2 | -6.3 | -6.4 | -1.4 | -0.9 | -20.2 |
| 2012 | 4.3 | 1.1 | -0.5 | 0.1 | -5.8 | 6.4 | -3.6 | 0.9 | 1 | 2.5 | -0.2 | 4.1 | 10 |
| 2013 | 1.9 | 1.1 | -2.4 | -5 | -2.3 | 3.1 | 2.7 | -2.9 | 2.3 | -1.1 | 0.1 | 0.4 | -2.4 |
| 2014 | -1.2 | -0.7 | 2.7 | -0.2 | -1 | 2.2 | -0.6 | 1.2 | -2.7 | 3 | -3.1 | -1.2 | -2 |
| 2015 | -4.2 | -0.9 | 0.6 | 1.4 | 0.7 | 0.5 | 1.1 | -5.5 | -0.2 | -1 | 1.2 | -2.6 | -8.8 |
| 2016 | -0.9 | 4.2 | 0.9 | -1.9 | 1.4 | 0.8 | 0 | 0.2 | 2.2 | -2.4 | -1.1 | -0.7 | 2.4 |
| 2017 | 0.1 | 3.7 | 0.4 | 1.1 | 3.9 | -0.3 | 0.4 | 1 | 0.4 | -1.3 | -1 | -1.7 | 6.7 |
| 2018 | 0.7 | -0.7 | 2 | 1.1 | 1.5 | -0.3 | -0.3 | 0.8 | -2.8 | 4.2 | 1.1 | 1.5 | 8.9 |
| 2019 | 0.3 | 1.9 | 2 | -2 | -2.7 | 0.8 | -2.9 | -0.4 | -3.8 | 3.4 | -1.2 | 0.3 | -4.2 |
| 2020 | -4.1 | -2.6 | -13.7 | -7.5 | 2.2 | -1.8 | -2 | 2.3 | 3.1 | -2.7 | 1.6 | -0.4 | -23.9 |
| 2021 | 4.9 | 7.2 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 14.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-25 35.5 SPY 142. -0.0117 -0.002 0.0045 0.0348 0.124 0.243 0.256 GLD 64.1 -4.20e-3 0.0289
2 2007-01-26 35.1 SPY 142. -0.0007 -0.0046 0.01 0.031 0.122 0.227 0.252 GLD 64.1 6.00e-4 0.0175
3 2007-01-29 35.7 SPY 142. -0.0008 -0.0023 0.0033 0.0267 0.115 0.239 0.251 GLD 63.8 -5.10e-3 0.0167
4 2007-01-30 36.1 SPY 143. 0.0052 -0.0001 0.002 0.0289 0.111 0.260 0.254 GLD 64.2 7.10e-3 -0.0002
5 2007-01-31 36.2 SPY 144. 0.0067 -0.0014 0.0108 0.0423 0.119 0.267 0.304 GLD 64.8 9.50e-3 0.0078
6 2007-02-01 37.0 SPY 145. 0.006 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 6.00e-3 0.0181
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
